Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification - Mines Saint-Étienne
Communication Dans Un Congrès Année : 2010

Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification

Résumé

This paper proposes three extensions of the usual CUSUM rule for change point detection in dynamic systems, in situations where the application of the rule is problematic. The first two ones concerns the case of nonlinear state-space systems indirectly observed and the case of uncertain systems. The third one improves the performance of the usual rule when applied to nonstationary systems, by ensuring a constant rate of false alarms. They all rely on kernel-based nonparametric estimation approaches.

Dates et versions

emse-00466787 , version 1 (24-03-2010)

Identifiants

Citer

Nadine Hilgert, Ghislain Verdier, Jean-Pierre Vila. Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification. 15th IFAC Symposium on System Identification, 2009 System Identification, Jul 2009, Saint-Malo, France. ⟨10.3182/20090706-3-FR-2004.00034⟩. ⟨emse-00466787⟩
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